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摘要翻译：
在本文中，我们分析了保险公司之间由于市场价格渠道而产生的间接联系的动态。在我们的分析中，我们假设保险公司的股票报价反映了市场情绪，市场情绪构成了一个非常重要的系统性风险因素。保险公司及其动态之间的相互联系对保险部门的系统性风险传染有直接影响。本文提出了一种新的基于copula-DCC-GARCH模型和最小生成树(MST)相结合的互连动力学分析方法。利用copula-DCC-GARCH模型确定尾部相关系数。然后，对于每一个被分析的周期，我们根据这些系数构造MST。通过选取2005-2019年MSTs拓扑指标的时间序列，分析了MSTs的动态变化。我们的实证结果表明，所提出的方法是有用的系统风险分析在保险业。从提出的混合方法中得到的时间序列反映了市场上发生的现象。所分析的MST拓扑指标可以被认为是系统风险的预测因子。
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英文标题：
《A tail dependence-based MST and their topological indicators in
modelling systemic risk in the European insurance sector》
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作者：
Anna Denkowska and Stanis{\l}aw Wanat
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最新提交年份：
2020
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments which constitute a very important systemic risk factor. Interlinkages between insurers and their dynamics have a direct impact on systemic risk contagion in the insurance sector. We propose herein a new hybrid approach to the analysis of interlinkages dynamics based on combining the copula-DCC-GARCH model and Minimum Spanning Trees (MST). Using the copula-DCC-GARCH model we determine the tail dependence coefficients. Then, for each analysed period we construct MST based on these coefficients. The dynamics is analysed by means of time series of selected topological indicators of the MSTs in the years 2005-2019. Our empirical results show the usefulness of the proposed approach to the analysis of systemic risk in the insurance sector. The times series obtained from the proposed hybrid approach reflect the phenomena occurring on the market. The analysed MST topological indicators can be considered as systemic risk predictors.
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PDF链接：
https://arxiv.org/pdf/2001.06567
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